Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0222
Annualized Std Dev 0.2377
Annualized Sharpe (Rf=0%) -0.0935

Row

Daily Return Statistics

Close
Observations 3456.0000
NAs 1.0000
Minimum -0.1970
Quartile 1 -0.0051
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0062
Maximum 0.1593
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0150
Skewness -1.0789
Kurtosis 26.2237

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0105
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.7198
Historical VaR (95%) -0.0203
Historical ES (95%) -0.0380
Modified VaR (95%) -0.0209
Modified ES (95%) -0.0209
From Trough To Depth Length To Trough Recovery
2007-07-06 2009-03-09 NA -0.7198 3452 422 NA
2007-06-28 2007-06-28 2007-07-02 -0.0005 3 1 2
2007-07-03 2007-07-03 2007-07-05 -0.0005 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA 0 -0.5 2.2 1 -1.3 0.6 0.2 2.2
2008 1.7 -2.3 3.7 0.8 0.5 -1.7 -1.1 0.8 2.4 6.5 -10.4 5 4.9
2009 -2.1 -1 1.9 0 5.6 0.3 0.4 -1.3 -1.3 -2.5 1.6 -0.1 1.2
2010 0.5 0.3 0 -0.2 -2 -0.5 -0.2 2 1.2 -0.3 2.6 0.5 3.9
2011 2.2 -1.2 0.4 0.1 -1.5 1.1 0.2 -0.4 -1.3 -2 -0.5 1.1 -2
2012 0.8 0.5 1.5 -0.1 -1.4 1.7 -0.7 1 -0.5 1 0.8 0.3 5
2013 -0.7 0.4 -0.8 -0.5 -3.1 1.1 0.9 -0.5 1 0.2 0.2 1.3 -0.7
2014 -0.4 0.1 1.1 0.1 0.2 0.8 -0.8 -0.2 -1.2 1.5 -1 -0.1 0.2
2015 0.2 0.1 -0.4 0.5 -0.1 -0.9 0.1 -2.2 0.4 -0.3 1.1 -0.4 -1.9
2016 0.2 2 0.5 -0.6 1 0.3 -0.4 0.3 0.6 -1 -0.4 0.1 2.5
2017 0.2 1 1.2 1 0.9 0.1 0.3 0.9 1 -0.5 0.6 0.3 7.1
2018 0 -1.8 1.5 -0.1 0.7 0.2 -1.1 0.1 0 1.2 0.4 -0.1 0.9
2019 0.3 -0.3 1.2 0.1 -1 0.7 -1 0.2 -0.5 0.4 -0.6 0.3 -0.2
2020 -1.2 -3.8 -4.1 -1.9 1.3 0.7 -0.5 -0.3 -0.5 -1.7 0.9 1.6 -9.3
2021 1.6 1.8 0 NA NA NA NA NA NA NA NA NA 3.4

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart